def publish_executions(symbol, entry_type, executed_count, order = None):
entry_list = []
if executed_count:
entry_list.append( {
"MDUpdateAction":"3", # Delete Thru
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": executed_count,
})
if order:
entry_list.append( {
"MDUpdateAction":"1", # Update
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": 1,
"MDEntryID": order.id,
"MDEntryPx": order.price,
"MDEntrySize": order.leaves_qty,
"MDEntryDate": order.created.date(),
"MDEntryTime": order.created.time(),
"OrderID": order.id,
"Username": order.account_username,
"Broker": order.broker_username
})
if entry_list:
md = {
"MsgType":"X",
"MDBkTyp": '3', # Order Depth
"MDIncGrp": entry_list
}
application.publish( 'MD_INCREMENTAL_' + symbol + '.' + entry_type , md )
def publish_executions(symbol, entry_type, executed_count, order=None):
entry_list = []
if executed_count:
entry_list.append({
"MDUpdateAction": "3", # Delete Thru
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": executed_count,
})
if order:
entry_list.append({
"MDUpdateAction": "1", # Update
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": 1,
"MDEntryID": order.id,
"MDEntryPx": order.price,
"MDEntrySize": order.leaves_qty,
"MDEntryDate": order.created.date(),
"MDEntryTime": order.created.time(),
"OrderID": order.id,
"Username": order.account_username,
"Broker": order.broker_username
})
if entry_list:
md = {
"MsgType": "X",
"MDBkTyp": '3', # Order Depth
"MDIncGrp": entry_list
}
application.publish('MD_INCREMENTAL_' + symbol + '.' + entry_type,
md)
def cancel(self, session, order):
if not order:
# Generate an Order Cancel Reject - Order not found
return
# let's find the order position
self_side = []
if order.is_buy:
self_side = self.buy_side
elif order.is_sell:
self_side = self.sell_side
order_found = False
order_pos = bisect.bisect_left(self_side, order)
for x in xrange( order_pos, len(self_side)):
tmp_order = self_side[x]
if tmp_order.id == order.id:
order_found = True
break
if tmp_order.price != order.price:
break
order_pos += 1
if not order_found:
# Generate an Order Cancel Reject - Order not found
return
# update the order
order.cancel_qty( order.leaves_qty )
session.commit()
# remove the order from the book
self_side.pop( order_pos )
# Generate a cancel report
cancel_rpt = ExecutionReport( order, '1' if order.is_buy else '2' )
application.publish(order.user_id, cancel_rpt.toJson() )
if order.user_id != order.account_id:
application.publish(order.account_id, cancel_rpt.toJson() )
# market data
md_entry_type = '0' if order.is_buy else '1'
MarketDataPublisher.publish_cancel_order( self.symbol, md_entry_type, order_pos+1 )
return ""
def publish_cancel_order(symbol, entry_type, order_position ):
md = {
"MsgType":"X",
"MDBkTyp": '3', # Order Depth
"MDIncGrp": [{
"MDUpdateAction":"2", # Delete
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": order_position,
}]
}
application.publish( 'MD_INCREMENTAL_' + symbol + '.' + entry_type , md )
def cancel(self, session, order):
if not order:
# Generate an Order Cancel Reject - Order not found
return
# let's find the order position
self_side = []
if order.is_buy:
self_side = self.buy_side
elif order.is_sell:
self_side = self.sell_side
order_found = False
order_pos = bisect.bisect_left(self_side, order)
for x in xrange(order_pos, len(self_side)):
tmp_order = self_side[x]
if tmp_order.id == order.id:
order_found = True
break
if tmp_order.price != order.price:
break
order_pos += 1
if not order_found:
# Generate an Order Cancel Reject - Order not found
return
# update the order
order.cancel_qty(order.leaves_qty)
session.commit()
# remove the order from the book
self_side.pop(order_pos)
# Generate a cancel report
cancel_rpt = ExecutionReport(order, '1' if order.is_buy else '2')
application.publish(order.user_id, cancel_rpt.toJson())
if order.user_id != order.account_id:
application.publish(order.account_id, cancel_rpt.toJson())
# market data
md_entry_type = '0' if order.is_buy else '1'
MarketDataPublisher.publish_cancel_order(self.symbol, md_entry_type,
order_pos + 1)
return ""
def publish_cancel_order(symbol, entry_type, order_position):
md = {
"MsgType":
"X",
"MDBkTyp":
'3', # Order Depth
"MDIncGrp": [{
"MDUpdateAction": "2", # Delete
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": order_position,
}]
}
application.publish('MD_INCREMENTAL_' + symbol + '.' + entry_type, md)
def generate_md_full_refresh(session, symbol, market_depth, om, entries,
req_id, timestamp):
entry_list = []
for entry_type in entries:
if entry_type == '0' or entry_type == '1':
if entry_type == '0': # Bid
orders = om.buy_side
else: # Offer
orders = om.sell_side
entry_position = 0
for order in orders:
if order.type == '1': # Hide the market orders
continue
entry_position += 1
entry_list.append({
"MDEntryType": entry_type,
"MDEntryPositionNo": entry_position,
"MDEntryID": order.id,
"MDEntryPx": order.price,
"MDEntrySize": order.leaves_qty,
"MDEntryDate": order.created.date(),
"MDEntryTime": order.created.time(),
"OrderID": order.id,
"Username": order.account_username,
"Broker": order.broker_username
})
if entry_position >= market_depth > 0:
break
md = {
"MsgType": "W",
"MDReqID": req_id,
"MarketDepth": market_depth,
"Symbol": symbol,
"MDFullGrp": entry_list
}
application.publish('MD_FULL_REFRESH_' + symbol, md)
return md
def generate_md_full_refresh( session, symbol, market_depth, om, entries, req_id, timestamp ):
entry_list = []
for entry_type in entries:
if entry_type == '0' or entry_type == '1':
if entry_type == '0': # Bid
orders = om.buy_side
else: # Offer
orders = om.sell_side
entry_position = 0
for order in orders:
if order.type == '1': # Hide the market orders
continue
entry_position += 1
entry_list.append( {
"MDEntryType": entry_type,
"MDEntryPositionNo": entry_position,
"MDEntryID": order.id,
"MDEntryPx": order.price,
"MDEntrySize": order.leaves_qty,
"MDEntryDate": order.created.date(),
"MDEntryTime": order.created.time(),
"OrderID": order.id,
"Username": order.account_username,
"Broker": order.broker_username
})
if entry_position >= market_depth > 0:
break
md = {
"MsgType":"W",
"MDReqID": req_id,
"MarketDepth": market_depth,
"Symbol": symbol,
"MDFullGrp": entry_list
}
application.publish( 'MD_FULL_REFRESH_' + symbol , md )
return md
def publish_new_order(symbol, entry_type, order_position, order ):
md = {
"MsgType":"X",
"MDBkTyp": '3', # Order Depth
"MDIncGrp": [{
"MDUpdateAction":"0", # new
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": order_position + 1,
"MDEntryID": order.id,
"MDEntryPx": order.price,
"MDEntrySize": order.leaves_qty,
"MDEntryDate": order.created.date(),
"MDEntryTime": order.created.time(),
"OrderID": order.id,
"Username": order.account_username,
"Broker": order.broker_username
}]
}
application.publish( 'MD_INCREMENTAL_' + symbol + '.' + entry_type , md )
def publish_new_order(symbol, entry_type, order_position, order):
md = {
"MsgType":
"X",
"MDBkTyp":
'3', # Order Depth
"MDIncGrp": [{
"MDUpdateAction": "0", # new
"Symbol": symbol,
"MDEntryType": entry_type,
"MDEntryPositionNo": order_position + 1,
"MDEntryID": order.id,
"MDEntryPx": order.price,
"MDEntrySize": order.leaves_qty,
"MDEntryDate": order.created.date(),
"MDEntryTime": order.created.time(),
"OrderID": order.id,
"Username": order.account_username,
"Broker": order.broker_username
}]
}
application.publish('MD_INCREMENTAL_' + symbol + '.' + entry_type, md)
def publish_trades(symbol, trades):
md_trades = []
for trade in trades:
md_trades.append({
"MDUpdateAction":"0",
"MDEntryType": "2", # Trade
"Symbol": trade.symbol,
"MDEntryPx": trade.price,
"MDEntrySize": trade.size,
"MDEntryDate": trade.created.date(),
"MDEntryTime": trade.created.time(),
"OrderID": trade.order_id,
"Side": trade.side,
"SecondaryOrderID": trade.counter_order_id,
"TradeID": trade.id,
"MDEntryBuyer": trade.buyer_username,
"MDEntrySeller": trade.seller_username,
})
md = {
"MsgType":"X",
"MDBkTyp": '3', # Order Depth
"MDIncGrp": md_trades
}
application.publish( 'MD_TRADE_' + symbol , md )
def publish_trades(symbol, trades):
md_trades = []
for trade in trades:
md_trades.append({
"MDUpdateAction": "0",
"MDEntryType": "2", # Trade
"Symbol": trade.symbol,
"MDEntryPx": trade.price,
"MDEntrySize": trade.size,
"MDEntryDate": trade.created.date(),
"MDEntryTime": trade.created.time(),
"OrderID": trade.order_id,
"Side": trade.side,
"SecondaryOrderID": trade.counter_order_id,
"TradeID": trade.id,
"MDEntryBuyer": trade.buyer_username,
"MDEntrySeller": trade.seller_username,
})
md = {
"MsgType": "X",
"MDBkTyp": '3', # Order Depth
"MDIncGrp": md_trades
}
application.publish('MD_TRADE_' + symbol, md)
def match(self, session, order):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport(order, execution_side)
execution_reports.append((order.user_id, rpt_order.toJson()))
if order.user_id != order.account_id:
execution_reports.append((order.account_id, rpt_order.toJson()))
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
number_of_filled_counter_market_orders = 0
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty(counter_order.leaves_qty)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport(
counter_order, execution_side)
execution_reports.append(
(counter_order.user_id, cancel_rpt_counter_order.toJson()))
if counter_order.user_id != counter_order.account_id:
execution_reports.append(
(counter_order.account_id,
cancel_rpt_counter_order.toJson()))
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching against the counter_order
executed_qty = order.match(counter_order, order.leaves_qty)
if counter_order.type == '1': # Market Order
executed_price = order.price
number_of_filled_counter_market_orders += 1
else:
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(
session, '1' if order.is_buy else '2', executed_qty,
executed_price)
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty(qty_to_cancel_from_order)
cancel_rpt_order = ExecutionReport(order, execution_side)
execution_reports.append(
(order.user_id, cancel_rpt_order.toJson()))
if order.user_id != order.account_id:
execution_reports.append(
(order.account_id, cancel_rpt_order.toJson()))
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(
session, '1' if counter_order.is_buy else '2', executed_qty,
executed_price)
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport(
counter_order, execution_side)
execution_reports.append(
(counter_order.user_id, cancel_rpt_counter_order.toJson()))
if counter_order.user_id != counter_order.account_id:
execution_reports.append(
(counter_order.account_id,
cancel_rpt_counter_order.toJson()))
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute(executed_qty, executed_price)
counter_order.execute(executed_qty, executed_price)
trade = Trade.create(session, order, counter_order,
self.symbol, executed_qty, executed_price)
trades_to_publish.append(trade)
rpt_order = ExecutionReport(order, execution_side)
execution_reports.append((order.user_id, rpt_order.toJson()))
if order.user_id != order.account_id:
execution_reports.append(
(order.account_id, rpt_order.toJson()))
rpt_counter_order = ExecutionReport(counter_order,
execution_side)
execution_reports.append(
(counter_order.user_id, rpt_counter_order.toJson()))
if counter_order.user_id != counter_order.account_id:
execution_reports.append(
(counter_order.account_id, rpt_counter_order.toJson()))
def generate_email_subject_and_body(session, order, trade):
from json import dumps
from bitex.json_encoder import JsonEncoder
from models import Currency
qty_currency = order.symbol[:3]
formatted_qty = Currency.format_number(
session, qty_currency, order.order_qty / 1.e8)
price_currency = order.symbol[3:]
formatted_price = Currency.format_number(
session, price_currency, order.price / 1.e8)
formatted_total_price = Currency.format_number(
session, price_currency,
order.order_qty / 1.e8 * order.price / 1.e8)
email_subject = 'E'
email_template = "order-execution"
email_params = {
'username': order.user.username,
'order_id': order.id,
'trade_id': trade.id,
'executed_when': trade.created,
'qty': formatted_qty,
'price': formatted_price,
'total': formatted_total_price
}
return email_subject, email_template, dumps(
email_params, cls=JsonEncoder)
email_data = generate_email_subject_and_body(
session, order, trade)
UserEmail.create(session=session,
user_id=order.user_id,
subject=email_data[0],
template=email_data[1],
language=options.global_email_language,
params=email_data[2])
email_data = generate_email_subject_and_body(
session, counter_order, trade)
UserEmail.create(session=session,
user_id=counter_order.user_id,
subject=email_data[0],
template=email_data[1],
language=options.global_email_language,
params=email_data[2])
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport(order, execution_side)
execution_reports.append(
(order.user_id, cancel_rpt_order.toJson()))
if order.user_id != order.account_id:
execution_reports.append(
(order.account_id, cancel_rpt_order.toJson()))
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport(
counter_order, execution_side)
execution_reports.append(
(counter_order.user_id, cancel_rpt_counter_order.toJson()))
if counter_order.user_id != counter_order.account_id:
execution_reports.append(
(counter_order.account_id,
cancel_rpt_counter_order.toJson()))
if counter_order.has_leaves_qty:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.has_leaves_qty:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert(insert_pos, order)
if order.type == '2': # Limited orders go to the book.
MarketDataPublisher.publish_new_order(self.symbol,
md_entry_type,
insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
application.publish(user_id, execution_report)
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0:execution_counter - 1]
MarketDataPublisher.publish_executions(
self.symbol, counter_md_entry_type, execution_counter - 1 -
number_of_filled_counter_market_orders, other_side[0])
else:
del other_side[0:execution_counter]
MarketDataPublisher.publish_executions(
self.symbol, counter_md_entry_type,
execution_counter - number_of_filled_counter_market_orders)
if trades_to_publish:
MarketDataPublisher.publish_trades(self.symbol, trades_to_publish)
return ""
def match(self, session, order):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
number_of_filled_counter_market_orders = 0
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty( counter_order.leaves_qty )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching against the counter_order
executed_qty = order.match( counter_order, order.leaves_qty)
if counter_order.type == '1': # Market Order
executed_price = order.price
number_of_filled_counter_market_orders += 1
else:
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(session,
'1' if order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty( qty_to_cancel_from_order )
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(session,
'1' if counter_order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty( qty_to_cancel_from_counter_order )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute( executed_qty, executed_price )
counter_order.execute(executed_qty, executed_price )
trade = Trade.create(session, order, counter_order, self.symbol, executed_qty, executed_price )
trades_to_publish.append(trade)
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, rpt_counter_order.toJson() ) )
def generate_email_subject_and_body( session, order, trade ):
from json import dumps
from bitex.json_encoder import JsonEncoder
from models import Currency
qty_currency = order.symbol[:3]
formatted_qty = Currency.format_number( session, qty_currency, order.order_qty / 1.e8 )
price_currency = order.symbol[3:]
formatted_price = Currency.format_number( session, price_currency, order.price / 1.e8 )
formatted_total_price = Currency.format_number( session, price_currency, order.order_qty/1.e8 * order.price / 1.e8 )
email_subject = 'E'
email_template = "order-execution"
email_params = {
'username': order.user.username,
'order_id': order.id,
'trade_id': trade.id,
'executed_when': trade.created,
'qty': formatted_qty,
'price': formatted_price,
'total': formatted_total_price
}
return email_subject, email_template, dumps(email_params, cls=JsonEncoder)
email_data = generate_email_subject_and_body(session, order, trade)
UserEmail.create( session = session,
user_id = order.user_id,
subject = email_data[0],
template= email_data[1],
language= options.global_email_language,
params = email_data[2])
email_data = generate_email_subject_and_body(session, counter_order, trade)
UserEmail.create( session = session,
user_id = counter_order.user_id,
subject = email_data[0],
template= email_data[1],
language= options.global_email_language,
params = email_data[2])
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.has_leaves_qty:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.has_leaves_qty:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert( insert_pos, order )
if order.type == '2': # Limited orders go to the book.
MarketDataPublisher.publish_new_order( self.symbol, md_entry_type , insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
application.publish( user_id, execution_report )
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0: execution_counter-1]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - 1 - number_of_filled_counter_market_orders,
other_side[0] )
else:
del other_side[0: execution_counter]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - number_of_filled_counter_market_orders )
if trades_to_publish:
MarketDataPublisher.publish_trades(self.symbol, trades_to_publish)
return ""